Heat the Marsala in a saucepan until it obtains a syrupy consistency, about 15-20 minutes. Add the cream, bring to a boil and remove from heat. Pour the mixture into a bowl, add the egg yolks and stir. Chop ham finely.
Open the oysters with a knife and place the shells with the oysters on a baking sheet above a bit of salt (which serves to keep the shells from moving around). Cover the oysters with the Marsala cream, sprinkle the chopped speck and some chopped chives on top and bake at 250 °C for 4 minutes. A crust will form on the surface while the oysters will remain soft. Serve immediately.